Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Gamma Communications PLC backtest
10 trend-following strategies were compared on the full daily history of Gamma Communications PLC. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 18.2%, MDD -33.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 13.7%, drawdown -70.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 18.2%, MDD -33.6%, Sharpe 0.83, 62% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 36.4%p (CAGR 18.2%, MDD -33.6%, exposure 62%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=55, slow=224 |
18.2% | -33.6% | 0.83 | 0.54 | 7.2x | 4 | 62% |
| ROC 모멘텀 n=149, threshold=-0.13 |
17.1% | -42.0% | 0.75 | 0.41 | 6.5x | 17 | 77% |
| SMA 크로스오버 fast=53, slow=212 |
15.4% | -33.6% | 0.72 | 0.46 | 5.4x | 13 | 64% |
| Donchian 채널 돌파 entryN=19, exitN=93 |
16.2% | -38.3% | 0.71 | 0.42 | 5.9x | 11 | 81% |
| ADX / DI 방향성 period=12, threshold=25 |
9.3% | -35.9% | 0.67 | 0.26 | 2.9x | 110 | 31% |
| Supertrend period=23, mult=4.5 |
12.2% | -26.7% | 0.66 | 0.46 | 3.9x | 23 | 52% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=10, mult=3.6 |
1.4% | -6.2% | 0.47 | 0.22 | 1.2x | 2 | 1% |
| 볼린저 밴드 돌파 n=56, k=2.5 |
4.6% | -21.4% | 0.39 | 0.22 | 1.7x | 34 | 29% |
| Parabolic SAR step=0.005, maxStep=0.38 |
3.5% | -57.2% | 0.27 | 0.06 | 1.5x | 97 | 57% |
| MACD fast=12, slow=49, signal=8 |
0.4% | -79.2% | 0.12 | 0.01 | 1.0x | 195 | 50% |
| Buy and hold | 13.7% | -70.0% | 0.58 | 0.20 | 4.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 55-day EMA crosses above the 224-day EMA
- Sell — Sell when the 55-day EMA falls below the 224-day EMA